In a recent paper [Albrecher, Constantinescu and Loisel (2011). Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics and Economics 48(2), 265 – 270] Professors Hansjörg Albrecher, Corina Constantinescu and Stephane Loisel noted – in passing – a way to...

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...